This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...